arXiv subjects

Michael Röckner

Publications and source records attributed to Michael Röckner.

At least 55 records · Page 3Linked to original sources

arXiv2023

Uniqueness for nonlinear Fokker-Planck equations and for McKean-Vlasov SDEs: The degenerate case

This work is concerned with the existence and uniqueness of generalized (mild or distributional) solutions to (possibly degenerate) Fokker-Planck equations $ρ_t-Δβ(ρ)+{\rm div}(Db(ρ)ρ)=0$ in $(0,\infty)\times\mathbb{R}^d,$ $ρ(0,x) \equiv ρ_0(x)$. Under suitable assumptions on $β:\mathbb{R}\to\mathbb{R},\,b:\mathbb{R}\to\mathbb{R}$ and $D:\mathbb{R}^d\to\mathbb{R}^d$, $d\ge1$, this equation generates a unique flow $ρ(t)=S(t)ρ_0:[0,\infty)\to L^1(\mathbb{R}^d)$ as a mild solution in the sense of nonlinear semigroup theory. This flow is also unique in the class of $L^\infty((0,T)\times\mathbb{R}^d)\cap L^1((0,T)\times\mathbb{R}^d),$ $\forall T>0$, Schwartz distributional solutions on $(0,\infty)\times\mathbb{R}^d$. Moreover, for $ρ_0\in L^1(\mathbb{R}^d)\cap H^{-1}(\mathbb{R}^d)$, $t\to S(t)ρ_0$ is differentiable from the right on $[0,\infty)$ in $H^{-1}(\mathbb{R}^d)$-norm. As a main application, the weak uniqueness of the corresponding McKean-Vlasov SDEs is proven.

math.AP↗

arXiv2022

Strong Feller semigroups and Markov processes: A counter example

The aim of this note is to show, by providing an elementary way to construct counter-examples, that the strong Feller and the joint (space-time) continuity for a semigroup of Markov kernels on a Polish space are not enough to ensure the existence of an associated càdlàg Markov process on the same space. One such simple counter-example is the Brownian semigroup on $\mathbb{R}$ restricted to $\mathbb{R}\setminus \{0\}$, for which it is shown that there is no associated càdlàg Markov process. Using the same idea and results from potential theory we then prove that the analogous result with càdlàg Markov process replaced by right Markov process also holds, even if one allows to change the Polish topology to another Polish topology with the same Borel $σ$-algebra.

math.PR↗

arXiv2022

Averaging principle for stochastic complex Ginzburg-Landau equations

Averaging principle is an effective method for investigating dynamical systems with highly oscillating components. In this paper, we study three types of averaging principle for stochastic complex Ginzburg-Landau equations. Firstly, we prove that the solution of the original equation converges to that of the averaged equation on finite intervals as the time scale $\varepsilon$ goes to zero when the initial data are the same. Secondly, we show that there exists a unique recurrent solution (in particular, periodic, almost periodic, almost automorphic, etc.) to the original equation in a neighborhood of the stationary solution of the averaged equation when the time scale is small. Finally, we establish the global averaging principle in weak sense, i.e. we show that the attractor of original system tends to that of the averaged equation in probability measure space as $\varepsilon$ goes to zero.

math.DS↗

arXiv2022

Convergent numerical approximation of the stochastic total variation flow

We study the stochastic total variation flow (STVF) equation with linear multiplicative noise. By considering a limit of a sequence of regularized stochastic gradient flows with respect to a regularization parameter $\varepsilon$ we obtain the existence of a unique variational solution of the STVF equation which satisfies a stochastic variational inequality. We propose an energy preserving fully discrete finite element approximation for the regularized gradient flow equation and show that the numerical solution converges to the solution of the unregularized STVF equation. We perform numerical experiments to demonstrate the practicability of the proposed numerical approximation. This paper contains a mistake: in the proof of Lemma 4.4 the last inequality is not valid. Meanwhile, this mistake has been fixed in [6] for a slightly modified numerical approximation in spatial dimension $d=1$. For $d\geq 1$ the validity of the estimate in Lemma 4.4 is still open but the convergence of the numerical approximation can be shown by a different approach, see [5].

math.NA↗

arXiv2022

Convergent numerical approximation of the stochastic total variation flow with linear multiplicative noise: the higher dimensional case

We consider fully discrete finite element approximation of the stochastic total variation flow equation (STVF) with linear multiplicative noise which was previously proposed in \cite{our_paper}. Due to lack of a discrete counterpart of stronger a priori estimates in higher spatial dimensions the original convergence analysis of the numerical scheme was limited to one spatial dimension, cf. \cite{stvf_erratum}. In this paper we generalize the convergence proof to higher dimensions.

math.NA↗

arXiv2022

Correction to: Convergent numerical approximation of the stochastic total variation flow

We correct two errors in our paper [4]. First error concerns the definition of the SVI solution, where a boundary term which arises due to the Dirichlet boundary condition, was not included. The second error concerns the discrete estimate [4, Lemma 4.4], which involves the discrete Laplace operator. We provide an alternative proof of the estimate in spatial dimension $d=1$ by using a mass lumped version of the discrete Laplacian. Hence, after a minor modification of the fully discrete numerical scheme the convergence in $d=1$ follows along the lines of the original proof. The convergence proof of the time semi-discrete scheme, which relies on the continuous counterpart of the estimate [4, Lemma 4.4], remains valid in higher spatial dimension. The convergence of the fully discrete finite element scheme from [4] in any spatial dimension is shown in [3] by using a different approach.

math.NA↗

arXiv2022

Recent progress on multi-bubble blow-ups and multi-solitons to (stochastic) focusing nonlinear Schrödinger equations

We review the recent progress on the long-time behavior for a general class of focusing $L^2$-critical nonlinear Schrödinger equations (NLS) with lower order perturbations. Two canonical models are the stochastic NLS driven by linear multiplicative noise and the classical deterministic NLS. We show the construction and uniqueness of the corresponding blow-up solutions and solitons, including the multi-bubble Bourgain-Wang type blow-up solutions and non-pure multi-solitons, which provide new examples for the mass quantization conjecture and the soliton resolution conjecture. The refined uniqueness of pure multi-bubble blow-ups and pure multi-solitons to NLS under very low asymptotical rate is also reviewed. Finally, as a new result, we prove the qualitative properties of stochastic blow-up solutions, including the concentration of mass, universality of critical mass blow-up profiles, as well as the vanishing of the virial at the blow-up time.

math.PR↗

arXiv2022

Strong and weak convergence for averaging principle of DDSDE with singular drift

In this paper, we study the averaging principle for distribution dependent stochastic differential equations with drift in localized $L^p$ spaces. Using Zvonkin's transformation and estimates for solutions to Kolmogorov equations, we prove that the solutions of the original system strongly and weakly converge to the solution of the averaged system as the time scale $\eps$ goes to zero. Moreover, we obtain rates of the strong and weak convergence that depend on $p$ respectively.

math.PR↗

arXiv2022

Nonlinear Fokker-Planck equations with fractional Laplacian and McKean-Vlasov SDEs with Lévy-Noise

This work is concerned with the existence of mild solutions to non-linear Fokker-Planck equations with fractional Laplace operator $(-Δ)^s$ for $s\in\left(\frac12,1\right)$. The uniqueness of Schwartz distributional solutions is also proved under suitable assumptions on diffusion and drift terms. As applications, weak existence and uniqueness of solutions to McKean-Vlasov equations with Lévy-Noise, as well as the Markov property for their laws are proved.

math.PR↗

arXiv2022

Path continuity of Markov processes and locality of Kolmogorov operators

We prove that if we are given a generator of a cadlag Markov process and an open domain $G$ in the state space, on which the generator has the local property expressed in a suitable way on a class $\mathcal{C}$ of test functions that is sufficiently rich, then the Markov process has continuous paths when it passes through $G$. The result holds for any Markov process which is associated with the generator merely on $\mathcal{C}$. This points out that the path continuity of the process is an a priori property encrypted by the generator acting on enough test functions, and this property can be easily checked in many situations. The approach uses potential theoretic tools and covers Markov processes associated with (possibly time-dependent) second order integro-differential operators (e.g., through the martingale problem) defined on domains in Hilbert spaces or on spaces of measures.

math.PR↗

arXiv2022

A Markov process for a continuum infinite particle system with attraction

An infinite system of point particles placed in $\mathds{R}^d$ is studied. The particles are of two types; they perform random walks in the course of which those of distinct types repel each other. The interaction of this kind induces an effective multi-body attraction of the same type particles, which leads to the multiplicity of states of thermal equilibrium in such systems. The pure states of the system are locally finite counting measures on $\mathds{R}^d$. The set of such states $Γ^2$ is equipped with the vague topology and the corresponding Borel $σ$-field. For a special class $\mathcal{P}_{\rm exp}$ of probability measures defined on $Γ^2$, we prove the existence of a family $\{P_{t,μ}: t\geq 0, \ μ\in \mathcal{P}_{\rm exp}\}$ of probability measures defined on the space of c{à}dl{à}g paths with values in $Γ^2$, which is a unique solution of the restricted martingale problem for the mentioned stochastic dynamics. Thereby, the corresponding Markov process is specified.

math.PR↗

arXiv2022

Strong convergence of propagation of chaos for McKean-Vlasov SDEs with singular interactions

In this work we show the strong convergence of propagation of chaos for the particle approximation of McKean-Vlasov SDEs with singular $L^p$-interactions as well as for the moderate interaction particle systems on the level of particle trajectories. One of the main obstacles is to establish the strong well-posedness of the SDEs for particle systems with singular interaction. To this end, we extend the results on strong well-posedness of Krylov and Röckner \cite{Kr-Ro} to the case of mixed $L^p$-drifts, where the heat kernel estimates play a crucial role. Moreover, when the interaction kernel is bounded measurable, we also obtain the optimal rate of strong convergence, which is partially based on Jabin and Wang's entropy method \cite{JW16} and Zvonkin's transformation.

math.PR↗

arXiv2022

Zvonkin's transform and the regularity of solutions to double divergence form elliptic equations

We study qualitative properties of solutions to double divergence form elliptic equations (or stationary Kolmogorov equations) on~$\mathbb{R}^d$. It is shown that the Harnack inequality holds for nonnegative solutions if the diffusion matrix $A$ is nondegenerate and satisfies the Dini mean oscillation condition and the drift coefficient $b$ is locally integrable to a power $p>d$. We establish new estimates for the $L^p$-norms of solutions and obtain a generalization of the known theorem of Hasminskii on the existence of a probability solution to the stationary Kolmogorov equation to the case where the matrix $A$ satisfies Dini's condition or belongs to the class VMO. These results are based on a new analytic version of Zvonkin's transform of the drift coefficient.

math.AP↗

arXiv2022

Solutions for nonlinear Fokker-Planck equations with measures as initial data and McKean-Vlasov equations

One proves the existence and uniqueness of a generalized (mild) solution for the nonlinear Fokker-Planck equation (FPE) \begin{align*} &u_t-Δ(β(u))+{\mathrm{ div}}(D(x)b(u)u)=0, \quad t\geq0,\ x\in\mathbb{R}^d,\ d\ne2, \\ &u(0,\cdot)=u_0,\mbox{in }\mathbb{R}^d, \end{align*} where $u_0\in L^1(\mathbb{R}^d)$, $β\in C^2(\mathbb{R})$ is a nondecreasing function, $b\in C^1$, bounded, $b\ge0$, $D\in {L^\infty}(\mathbb{R}^d;\mathbb{R}^d)$, ${\rm div}\,D\in L^2(\mathbb{R}^d)+L^\infty(\mathbb{R}^d),$ with ${({\rm div}\, D)^-}\in L^\infty(\mathbb{R}^d)$, $β$ strictly increasing, if $b$ is not constant. Moreover, $t\to u(t,u_0)$ is a semigroup of contractions in $L^1(\mathbb{R}^d)$, which leaves invariant the set of probability density functions in $\mathbb{R}^d$. If ${\rm div}\,D\ge0$, $β'(r)\ge a|r|^{α-1}$, and $|β(r)|\le C r^α$, $α\ge1,$ $d\ge3$, then $|u(t)|_{L^\infty}\le Ct^{-\frac d{d+(α-1)d}}\ |u_0|^{\frac2{2+(m-1)d}},$ $t>0$, and, if $D\in L^2(\mathbb{R}^d;\mathbb{R}^d)$, the existence extends to initial data $u_0$ in the space $\mathcal{M}_b$ of bounded measures in $\mathbb{R}^d$. As a consequence for arbitrary initial laws, we obtain weak solutions to a class of McKean-Vlasov SDEs with coefficients which have singular dependence on the time marginal laws.

math.AP↗

arXiv2022

The evolution to equilibrium of solutions to nonlinear Fokker-Planck equation

One proves the $H$-theorem for mild solutions to a nondegenerate, nonlinear Fokker-Planck equation $$ u_t-Δβ(u)+{\rm div}(D(x)b(u)u)=0, \ t\geq0, \ x\in\mathbb{R}^d,\qquad (1)$$ and under appropriate hypotheses on $β,$ $D$ and $b$ the convergence in $L^1_\textrm{loc}(\mathbb{R}^d)$, $L^1(\mathbb{R}^d)$, respectively, for some $t_n\to\infty$ of the solution $u(t_n)$ to an equilibrium state of the equation for a large set of nonnegative initial data in $L^1$. These results are new in the literature on nonlinear Fokker-Planck equations arising in the mean field theory and are also relevant to the theory of stochastic differential equations. As a matter of fact, by the above convergence result, it follows that the solution to the McKean-Vlasov stochastic differential equation corresponding to (1), which is a nonlinear distorted Brownian motion, has this equilibrium state as its unique invariant measure. Keywords: Fokker-Planck equation, $m$-accretive operator, probability density, Lyapunov function, $H$-theorem, McKean-Vlasov stochastic differential equation, nonlinear distorted Brownian motion. 2010 Mathematics Subject Classification: 35B40, 35Q84, 60H10.

math.PR↗

arXiv2021

Multi solitary waves to stochastic nonlinear Schrödinger equations

In this paper, we present a pathwise construction of multi-soliton solutions for focusing stochastic nonlinear Schrödinger equations with linear multiplicative noise, in both the $L^2$-critical and subcritical cases. The constructed multi-solitons behave asymptotically as a sum of $K$ solitary waves, where $K$ is any given finite number. Moreover, the convergence rate of the remainders can be of either exponential or polynomial type, which reflects the effects of the noise in the system on the asymptotical behavior of the solutions. The major difficulty in our construction of stochastic multi-solitons is the absence of pseudo-conformal invariance. Unlike in the deterministic case [47,54], the existence of stochastic multi-solitons cannot be obtained from that of stochastic multi-bubble blow-up solutions in [54,57]. Our proof is mainly based on the rescaling approach in [39], relying on two types of Doss-Sussman transforms, and on the modulation method in [16,44], in which the crucial ingredient is the monotonicity of the Lyapunov type functional constructed by Martel, Merle and Tsai [45]. In our stochastic case, this functional depends on the Brownian paths in the noise.

math.PR↗

arXiv2021

Multi-bubble Bourgain-Wang solutions to nonlinear Schrödinger equation

We consider a general class of focusing $L^2$-critical nonlinear Schrödinger equations with lower order perturbations, for which the pseudo-conformal symmetry and the conservation law of energy are absent. In dimensions one and two, we construct Bourgain-Wang type solutions concentrating at $K$ distinct singularities, $1\leq K<\infty$, and prove that they are unique if the asymptotic behavior is within the order $(T-t)^{4+}$, for $t$ close to the blow-up time $T$. These results apply to the canonical nonlinear Schrödinger equations and, through the pseudo-conformal transform, in particular yield the existence and conditional uniqueness of non-pure multi-solitons. Furthermore, through a Doss-Sussman type transform, these results also apply to stochastic nonlinear Schrödinger equations, where the driving noise is taken in the sense of controlled rough path.

math.AP↗

arXiv2021

Markov uniqueness and Fokker-Planck-Kolmogorov equations

In this paper we show that Markov uniqueness for symmetric pre-Dirichlet operators $L$ follows from the uniqueness of the corresponding Fokker-Planck-Kolmogorov equation (FPKE). Since in recent years a considerable number of uniqueness results for FPKE's have been achieved, we obtain new Markov uniqueness results in concrete cases. A selection of such will be presented in this paper. They include cases with killing and with degenerate diffusion coefficients.

math.AP↗